Add sample config file for object type inputs.

Author: jeffreyenos

R/Simulation.R

@@ -15,9 +15,9 @@
 #' data(sample_inputs)
 #' 
 #' # Load sample configuration file
-#' config_file <- system.file("application/strategy_config.yaml", package = "strand")
+#' config_file <- system.file("application/strategy_config_obj.yaml", package = "strand")
 #'
-#' Create the Simulation object and run
+#' # Create the Simulation object and run
 #' sim <- Simulation$new(config_file,
 #'                       raw_input_data = sample_inputs,
 #'                       raw_pricing_data = sample_pricing,

README.Rmd

@@ -45,7 +45,7 @@ data(sample_pricing)
 data(sample_inputs)
 
 # Load sample configuration file
-config_file <- system.file("application/strategy_config.yaml", package = "strand")
+config_file <- system.file("application/strategy_config_obj.yaml", package = "strand")
 
 # Create the Simulation object and run
 sim <- Simulation$new(config_file,

README.md

@@ -59,7 +59,7 @@ data(sample_pricing)
 data(sample_inputs)
 
 # Load sample configuration file
-config_file <- system.file("application/strategy_config.yaml", package = "strand")
+config_file <- system.file("application/strategy_config_obj.yaml", package = "strand")
 
 # Create the Simulation object and run
 sim <- Simulation$new(config_file,
@@ -73,16 +73,16 @@ sim$overallStatsDf()
 ```
 
     ##                            Item Gross       Net
-    ## 1                     Total P&L   913    -3,177
-    ## 2       Total Return on GMV (%)   0.0      -0.2
-    ## 3  Annualized Return on GMV (%)   0.5      -1.8
-    ## 4            Annualized Vol (%)   0.5       0.6
-    ## 5             Annualized Sharpe  1.10     -3.15
-    ## 6                       Avg GMV       1,999,714
-    ## 7                       Avg NMV              55
-    ## 8                     Avg Count             402
-    ## 9            Avg Daily Turnover         112,711
-    ## 10      Holding Period (months)             1.7
+    ## 1                     Total P&L   419    -2,507
+    ## 2       Total Return on GMV (%)   0.0      -0.1
+    ## 3  Annualized Return on GMV (%)   0.5      -3.2
+    ## 4            Annualized Vol (%)   0.5       0.7
+    ## 5             Annualized Sharpe  1.12     -4.61
+    ## 6                       Avg GMV       1,999,350
+    ## 7                       Avg NMV              73
+    ## 8                     Avg Count             403
+    ## 9            Avg Daily Turnover         220,439
+    ## 10      Holding Period (months)             0.9
 
 ### Docker demo
 

inst/application/strategy_config_obj.yaml

@@ -0,0 +1,62 @@
+from: 2019-01-02
+to: 2019-01-15
+name: shiny_sim
+turnover_limit: 25e3
+solver: glpk
+strategies:
+  strategy_1:
+    in_var: alpha_1
+    strategy_capital: 1e6
+    ideal_long_weight: 1
+    ideal_short_weight: 1
+    position_limit_pct_adv: 30
+    position_limit_pct_lmv: 0.5
+    position_limit_pct_smv: 0.5
+    trading_limit_pct_adv: 5
+    constraints:
+      factor_1:
+        type: factor
+        in_var: factor_1
+        upper_bound: 0.03
+        lower_bound: -0.01
+      factor_2:
+        type: factor
+        in_var: factor_2
+        upper_bound: 0.01
+        lower_bound: -0.01
+      factor_3:
+        type: factor
+        in_var: factor_3
+        upper_bound: 0.01
+        lower_bound: -0.01
+      factor_4:
+        type: factor
+        in_var: factor_4
+        upper_bound: 0.01
+        lower_bound: -0.01
+      category_1:
+        type: category
+        in_var: category_1
+        upper_bound: 0.02
+        lower_bound: -0.02
+simulator:
+  fill_rate_pct_vol: 4
+  transaction_cost_pct: 0.1
+  financing_cost_pct: 1
+  calculate_exposures:
+    category_vars: category_1
+    factor_vars: [factor_1, factor_2, factor_3, factor_4]
+  input_data:
+    type: object
+    track_metadata: [factor_1, factor_2, factor_3, factor_4]
+  pricing_data:
+    type: object
+    columns:
+      close_price: price_unadj
+      prior_close_price: prior_close_unadj
+      adjustment_ratio: adjustment_ratio
+      volume: volume
+      dividend: dividend_unadj
+      distribution: distribution_unadj
+  secref_data:
+    type: object